Yield Curve Construction with Treasuries

The Treasury bond yield curve can be built from several different sources:

  • On the Run Treasuries: This entails plotting the observed yields from the most recently issued Treasuries.
  • On the Run + Selected Off the Run Treasuries: On the run issues may not cover the all time periods needed, particularly for longer maturities, so off the run issues may be incorporated into yield curve construction.
  • All Treasuries: This is a complete picture of the yield curve, but some issues, such as those which are callable, would need to be excluded.
  • Treasury Coupon STRIPS (separate trading of registered interest and principal securities): interest coupon STRIPS can be used to construct the yield curve, but this approach has the following deficiencies:
  • Liquidity: Lower than liquidity of coupon paying bonds.
  • U.S. Taxes: Tax treatment may be different for STRIPS.
  • Foreign Taxes: Principal strips and coupon strips may be treated differently for taxation purposes in foreign countries.
Learn the skills required to excel in data science and data analytics covering R, Python, machine learning, and AI.

Free Guides - Getting Started with R and Python

Enter your name and email address below and we will email you the guides for R programming and Python.

Saylient AI Logo

Take the Next Step in Your Data Career

Join our membership for lifetime unlimited access to all our data analytics and data science learning content and resources.